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Адаптивное оценивание в непараметрической авторегрессии М. А. Повзун
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ArticleContent type: Текст Media type: электронный Other title: Adaptive estimation in nonparametric autoregressive [Parallel title]Subject(s): адаптивное оценивание | численное моделирование | оценка наименьших квадратов | авторегрессииGenre/Form: статьи в сборниках Online resources: Click here to access online
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Перспективы развития фундаментальных наук. Т. 3 : сборник научных трудов XVII Международной конференции студентов, аспирантов и молодых ученых, Россия, Томск, 21-24 апреля 2020 г Т. 3 : Математика. С. 62-64Abstract: In this paper we consider an adaptive estimation problem in the nonparametric autoregression. We develop a new model selection method, using improved estimation. This procedure is based on the sequential estimators. For quadratic risk of proposed estimate we obtain sharp oracle inequality that allows us to establish the efficiency property of the model selection procedure.
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In this paper we consider an adaptive estimation problem in the nonparametric autoregression. We develop a new model selection method, using improved estimation. This procedure is based on the sequential estimators. For quadratic risk of proposed estimate we obtain sharp oracle inequality that allows us to establish the efficiency property of the model selection procedure.
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